Why are "Executable files" operating system dependent?
In order to do something meaningful, applications will need to interface with the OS. Since system calls and user-space infrastructure look fundamentally different on Windows and Unix/Linux, having different formats for executable programs is the smallest trouble. It's the program logic that would need to be changed.
(You might argue that this is meaningless if you have a program that solely depends on standardized components, for example the C runtime library. This is theoretically true - but irrelevant for most applications since they are forced to use OS-dependent stuff).
The other differences between Windows PE (EXE,DLL,..) files and Linux ELF binaries are related to the different image loaders and some design characteristics of both OSs. For example on Linux a separate program is used to resolve external library imports while this functionality is built-in on Windows. Another example: Linux shared libraries function differently than DLLs on Windows. Not to mention that both formats are optimized to enable the respective OS kernels to load programs as quick as possible.
Emulators like Wine try to fill the gap (and actually prove that the biggest problem is not the binary format but rather the OS interface!).
.exe and other binary formats are [definitely] not Raw machine instructions but they contain some data that is operating system dependent.
what this OS dependent data is like? and as an example what is the format of an .exe file and the difference between it and Linux executables?
Well, I guess Google failed you utterly. .EXE formats are very well-defined by Windows documentation.
http://support.microsoft.com/kb/65122
The Linux ld application loads an executable into memory prior to "exec" to that file. You could read up on ld format or even the famous a.out file.
Apart from the executable format that must be recognized by the system loader (i.e. that part of an OS that brings the executable into memory) the real problem is the interface to the OS. You can think of an OS as a kind of API that provides entry points one must call for doing specific things, like for example, writing a character to the console.
These details are usually more or less hidden from the end user, so that you can achieve writing a character to the screen with the same source code in higher level languages. But often, things are more different, like for example the Windowing environment. Not all high level languages provide a windowing layer that abstracts even over those differences.